Re: [Gretl-users] Running 'Allison's alternative Hausman test' after GLS-RE model

On Wed, 26 Dec 2012, Clive Nicholas wrote: > Hello all! > > I've just joined the list and I'm a brand new user of -gretl-. I've only > been using it for three days and I must praise the team for delivering a > highly usable, flexible and interactive package that runs pretty much all > of the econometric models that I want to fit (and a big, fat users' guide, > too!) - and for free. Can't say fairer than that. Glad you like gretl. Welcome to the community! > I do have one query, however. Following Allison (2009), I'm seeking to > implement his alternative to the Hausman test after fitting a random > effects panel model, which he argues has "probably better statistical > properties" than Hausman. [...] > Everything goes to plan until I try to implement step (f). Clicking on the > Tests tab and then selecting Lingg ear Restrictions, I typed: > > b[m_n] = b[d_n] > > but I receive a "parse error in 'b[m_n] = b[d_n]'" error message. Deleting > the spaces either side of the = made no difference. I only got results by > running: > > Restriction set > 1: b[m_n] - b[d_n] = 0 > 2: b[m_k] - b[d_k] = 0 > 3: b[m_ys] - b[d_ys] = 0 When you write restrictions for the "restrict" command, no coefficients must appear on the right-hand side of the equality. This is stated in the documentation. > Test statistic: F(3, 1016) = 3.27298, with p-value = 0.0205637 > > This test would appear to comprehensively reject the RE model in favour of > retaining the FE model. Or does it? Is this an acceptable test in place of > the Wald test for jointly equal parameters that I can't run in -gretl-?